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Asset market equilibrium with short-selling and differential information

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Author Info

  • Wassin Daher

    ()
    (CERMSEM)

  • V. Filipe Martins-da-Rocha

    ()
    (CEREMADE)

  • Yiannis Vailakis

    ()
    (CERMSEM)

Abstract

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996)and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2005/B05098.pdf
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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b05098.

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Length: 27 pages
Date of creation: Dec 2005
Date of revision:
Handle: RePEc:mse:wpsorb:b05098

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Keywords: Asset market; differential information; competitive equilibrium.;

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References

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  1. repec:hal:cesptp:halshs-00086096 is not listed on IDEAS
  2. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 467-73, July.
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  6. Daher, Wassim & Martins-da-Rocha, Victor-Filipe & Vailakis, Yiannis, 2007. "Asset market equilibrium with short-selling and differential information," Economics Papers from University Paris Dauphine 123456789/2967, Paris Dauphine University.
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Citations

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Cited by:
  1. João Correia-da-Silva & Carlos Hervés-Beloso, 2006. "Prudent Expectations Equilibrium in Economies with Uncertain Delivery," Levine's Bibliography 321307000000000099, UCLA Department of Economics.
  2. Martins-da-Rocha, Victor Filipe & Angeloni, Laura, 2008. "Large economies with differential information but without free disposal," Economics Working Papers (Ensaios Economicos da EPGE) 671, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  3. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer, vol. 32(3), pages 425-446, September.
  4. Guadalupe Fugarolas-Alvarez-Ude & Carlos Hervés-Beloso & Emma Moreno-García & Juan Torres-Martínez, 2009. "A market game approach to differential information economies," Economic Theory, Springer, vol. 38(2), pages 321-330, February.
  5. Raad, R., 2012. "Existence of an equilibrium for infinite horizon economies with and without complete information," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 247-262.
  6. Marialaura Pesce, 2010. "On mixed markets with asymmetric information," Economic Theory, Springer, vol. 45(1), pages 23-53, October.
  7. Angeloni, Laura & Martins-da-Rocha, Victor-Filipe, 2009. "Large economies with differential information and without free disposal," Economics Papers from University Paris Dauphine 123456789/2344, Paris Dauphine University.
  8. João Correia da Silva, 2014. "Two-period economies with price-contingent deliveries," FEP Working Papers 529, Universidade do Porto, Faculdade de Economia do Porto.
  9. Hervés-Beloso, Carlos & Martins-da-Rocha, Victor Filipe & Monteiro, Paulo Klinger, 2008. "Equilibrium theory with asymmetric information and infinitely many states," Economics Working Papers (Ensaios Economicos da EPGE) 673, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  10. Laura Angeloni & V. Martins-da-Rocha, 2009. "Large economies with differential information and without free disposal," Economic Theory, Springer, vol. 38(2), pages 263-286, February.
  11. Angeloni, Laura & Martins-da-Rocha, Victor Filipe, 2007. "Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility," Economics Working Papers (Ensaios Economicos da EPGE) 647, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  12. Marta Faias & Carlos Hervés-Beloso & Emma Moreno-García, 2011. "Equilibrium price formation in markets with differentially informed agents," Economic Theory, Springer, vol. 48(1), pages 205-218, September.

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